Volatility transmission between oil prices and equity sector returns

By Farooq Malik, Bradley T. Ewing. 2009

379 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6ba56a1f683c1569f0c0fb77abe6c9e3880d3588

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Citations in the corpus

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, result): “Our findings partially agree with the findings of other researchers, such as these byMiller and Ratti (2009), Lescaroux andMignon (2008), Nordhaus (2007), Blanchard andGali (2007), Bernankeet al.”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “…line of research purports to identify whether there are any volatility spillovers between oil and stock markets, as well as, the direction of these spillovers (see, among others, Chang et al., 2013; Mensi et al., 2013; Arouri et al., 2012, 2011a,b; Malik and Ewing, 2009; Malik and Hammoudeh, 2007).”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “…1999; Ciner, 2001; Basher and Sadorsky, 2006), very little attention is paid to the issue of return and volatility spillovers (Ewing et al., 2002; Malik and Ewing, 2009) and, to the best of our knowledge, no study has been conducted in the context of the Gulf Cooperation Council (GCC) countries.”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Most recently, 6 For linkage between oil prices and stock returns, see also Jones and Kaul (1996), Hammoudeh, et al. (2004), Park and Ratti (2008), Chiou and Lee (2009), Malik and Ewing (2009), Choi and Hammoudeh (2010), and Filis et al. (2011).”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “…among different key stock markets or between the crude oil market and financial markets (e.g., Hassan and Malik, 2007; Lien and Yang, 2008; Malik and Ewing, 2009; Singh et al., 2010; Yilmaz, 2010; Du et al., 2011; He and Chen, 2011; Serra, 2011; Syllignakis et Kouretas, 2011; Arouri et…”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, neutral): “Malik and Hammoudeh, 2007; Malik and Ewing, 2009; Hakem and McAleer, 2010; Filis et al, 2011; Chang et al., 2013; Mollick and Assefa, 2013; Hwan et al., 2013; Guesmi and Fattoumi, 2014) or between different commodities (eg.”